Characterization of exponential distribution through bivariate regression of record values revisited
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Publication:6283418
arXiv1702.06195MaRDI QIDQ6283418FDOQ6283418
Publication date: 20 February 2017
Abstract: It is shown that the exponential is the only distribution which satisfies a certain regression equation. This characterization equation involves the conditional expectation (regression function) of a record value given a pair of record values, one previous and one future, as covariates. The underlying distribution is exponential if and only if the above regression equals the expected value of an appropriately defined Beta distributed random variable. In a particular case, the expected value of the Beta variable reduces to a weighted average of the covariates.
Characterization and structure theory of statistical distributions (62E10) Order statistics; empirical distribution functions (62G30)
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